Search results

Most of that volume is concentrated on the most liquid (highest volume) stocks like C. If you're looking for "dumb money" look at hype stocks like TSLA, and HFT isn't needed to trade these.

If you are willing to pay: $300 for 3 exchanges (AMEX, NASDAQ, NYSE) from 1990 http://www.eoddata.com/Download.aspx $260 for all stocks from 1970 http://www.grainmarketresearch.com/eod_stocks.cfm

Bump. Good summary posted by Michael: http://michaels-musings.com/sources-intraday-historical-stock-data.html Pi Trading and Kibot look like the cheapest? In addition to stock and ETF's I would be interested in commodities and futures intraday data. Tick data not needed, bars would be...

Um. Yahoo, Google, MoneyCentral. These all use .csv format. It's not Excel format, it's csv. You can open it in Notepad, OpenOffice, etc, it's not in Excel's proprietary format.

You can definitely be too big. http://www.treehugger.com/files/2010/07/1991-fattest-u-s-states-thin-as-leanest-in-2009.php

Yahoo Finance and Money Central. If it's slow, multi-thread your downloader. If you need more/better/faster data, pay for historical data on DVD. http://www.google.com/search?q=historical+data+dvd+stock+market

Hello options traders! For margin requirements on naked options, I found this thread: http://www.elitetrader.com/vb/showthread.php?threadid=148820 Am I reading that right? For a single (1) naked $3 contract (100 shares) with strike price of $75 on an $80 stock, margin requirements would...

It's not because the numbers don't look pretty to me. It's because they are highly unlikely. My point is, either use real data or use generated numbers (either Pareto distribution or Gaussian distribution), if you make them up by hand they are highly unlikely to be useful in real situations...

If either all 30 stocks have -9% down always, or for 30 months a single stock is -9% down always, something's wrong with your data because this has never happened in the history of the world. Also Sortino ratio does *not* use standard deviation. It uses semi-standard deviation. The...

Are there screeners out there for filtering based on bid-ask spread?

IMHO individual stocks are just easier to trade than indexes. Maybe there's some news story out and you know how this influences your particular stock, but it's very vague if this is good or bad for the market as a whole. Also you can know how undersold/oversold a stock is just by looking at it...

Interesting analysis of the Flash Crash: http://www.nanex.net/20100506/FlashCrashAnalysis_CompleteText.html Recommendations: - Quote and trade data must be time stamped by the exchanges at the time it is generated. This will ensure delays can be detected by everyone. Reasoning...

In layman's terms: Trade C all day :D I keed but from Noon to 2 looks like HFT nirvana.

If it's dependent on the periods you choose then Sharpe, Calmar, Sortino ratios are meaningless. What is the question? I'm trying to say there has to be enough data to base a hypothesis on. You might be able to get away with, say, 30 months of data to predict 1 month of future volatility...

I believe the solution is to trade Kospi (Korea Composite Index). Note sure how accurate this info is, but someone posted on trade2win that the spread is about 1 tick.

Whichever one is best is whichever one is most predictive. That is, whichever one correlates most with future risk (volatility/drawdown). In other words, take 12 months of a strategy, calculate these ratios, then for the following 12 months see if the risk is approximately as predicted. If not...

Agree 100% :cool: Although I think if you traded these 20-30 years ago, TA might be somewhat valid. So if you are going to sim trade using old data or backtest using old data, could be worthwhile.

As if he would tell me. And if he did tell me why would I tell you and all of ET? I will say, a while ago someone posted a question about correlations between oil and other commodities, you might try and find that post. As an exercise, it is interesting to note these correlations.

Lack of fit sounds good. Other possible answers would be weighted least squares or iteratively re-weighted least squares. There might be some other method where you fit only the worst fitted points based on outlier detection or decile/quartile, not sure the official name though.

Agree, high volume. (1) Why is Etrade on the list? Sticks out like a sore thumb. (2) They are claiming volatility is higher? I thought HFT firms were saying they made markets less volatile? Or is it indexes less volatile, but individual stocks more volatile?